messagebox in ASP.NET isn't possible, but you can create a javascript alert to run if a button is clicked.
VB Code:
Private Sub btnUpload_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnUpload.Click
If (myExpression <> True) Then
Dim strScript As String = ""
strScript = "<script>"
strScript = strScript & "alert('You must select a file to upload');"
strScript = strScript & "</script>"
'Allows the alert box to be shown without wiping
'the controls off the page.
Page.RegisterStartupScript("ClientScript", strScript)
End If
End Sub